Portfolio-Optimierung unter Solvency II
Die UBS analysiert die Auswirkungen von Solvency II auf die Portfolio-Optimierung und insbesondere auf die Diversifikation riskanter Assets zur Vermeidung hoher Aktienkonzentrationen
Der Entwurf der Solvency-II-Richtlinie1 sieht vor, dass "ein ökonomischer risikobasierter Ansatz umgesetzt wird, der Erst- und Rückversicherern Anreize zur angemessenen und sorgfältigen Verwaltung ihrer Risiken bietet".
Im vorliegenden Artikel zeigt die UBS, dass sich das QIS3 Standardmodell letztlich hemmend auf die Diversifikation in alternative Anlageklassen auswirkt, wie sich ein besser ausgewogenes Standardmodell parametrisieren lässt und wie man in einem internen Modell überlegene Ansätze
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